John T. Barkoulas

• Georgia Southern University

In this paper we provide measurements of the underlying complex dynamic structure in bitcoin market activity. More specifically, we present empirical estimates of extremity (large fluctuations) in bitcoin market action variables such as price returns, trading volume, and number of trades using a block maxima estimation for the tail exponent. We jux...

In this study, we empirically analyze the dynamic feedback mechanism between the A- and B-markets in the Chinese stock exchanges in an attempt to offer insights into the evolution of the information environment and the subsequent behavior of the B-share discount following the liberalization of these markets in 2001–2002. More specifically, we exami...

We estimate the two Mandelbrotian parameters (“dual forms of wild variability”), namely, long-range dependence (Joseph effect) and discontinuity or fat tails (Noah effect) for the VIX stock market volatility measure. We find the VIX scalar series to be characterized by strong dependence (with nonstationary but mean-reverting dynamics) and fat tails...

We investigate the long-run dynamics of a system of eight major exchange rates in the euro era using both integer and fractional cointegration methodologies. Contrary to the fragile evidence in the pre-euro era, robust evidence of linear cointegratedness is obtained in the foreign exchange market during the euro era. Upon closer examination, deviat...

We investigate the inter-market return and volatility linkages for an atypical case of firms with foreign IPOs that subsequently cross-listed in their domestic market. In particular, our data set consists of a unique sample of 29 Israeli firms that went public in the US (host market) and then cross-listed in the Israeli market (home market). To est...

In this study we investigate the dynamics of the return transmission mechanism across markets (spillover effects) in the atypical international cross listing case where the stock has gone public abroad and then cross listed in the home market. Previous studies have examined such dynamic return interactions in the typical case, where a company goes...

We test whether the spot price of crude oil is determined by stochastic rules or exhibits deterministic endogenous fluctuations. In our analysis, we employ both metric (correlation dimension and Lyapunov exponents) and topological (recurrence plots) diagnostic tools for chaotic dynamics. We find that the underlying system for crude oil spot prices...

DeGennaro, Kunkel, and Lee (1994) studied the long run dynamics of a system of long term interest rates of five industrialized countries by means of sophisticated cointegration methods. They found little evidence in support of the cointegration hypothesis, thus concluding that a separate set of fundamentals drives the dynamics of each of the indivi...

This paper investigates the link between commodity (gold and oil) prices and the returns and risk reactions of commodity linked-equity during a geopolitical event. In the short run, while the returns of gold and oil commodities increase by 8.01% and 4.27% respectively at the first trading day after 9/11 event, the gold equities realize negative ret...

The evidence of deterministic chaos in monetary aggregates tends to be contradictory in the literature. We revisit the issue of monetary chaos by applying tools based on both the metric (correlation dimension and Lyapunov exponents) and topological (recurrence plots) approaches to chaos. For simple-sum and divisia monetary aggregates over an expand...

We incorporate managerial risk aversion and stochasticity of takeover synergy gains into Harris' (Harris, E.G. 1990. Antitakeover measures, golden parachutes, and target firm shareholder welfare. Rand Journal of Economics 21, no. 4: 614-25. bargaining model for the coexistence of antitakeover defenses and golden parachutes in corporate charters. We...

The most prominent textbooks in finance literature present the goal of a firm or financial manager as "unconstrained shareholder wealth maximization (USWM)" and focus on economic efficiency and maximization of shareholder wealth, providing limited information about potential constraints. In contrast, constrained shareholder wealth maximization (CSW...

Several studies have tested for long-range dependence in macroeconomic and financial time series but very few have assessed the usefulness of long-memory models as forecast generating mechanisms. This study tests for fractional differencing in the U.S. monetary indices (simple sum and divisia) and compares the out-of-sample fractional forecasts to...

This paper analyzes the short- and long-term effects of the September 11, 2001 terrorist attacks on a comprehensive sample of stock market indices from 33 industrial and emerging economies. From a finance-theoretic point of view, we employ the international capital asset pricing model (ICAPM) to analyze the incidence of the 9/11 event. Consistent w...

In the evolving environment of global financial markets, governments, corporations, individual investors, and their associated financial institutions must grapple with a host of thorny issues that affect emerging economies with particular force, as we saw during the Asian financial crisis of the late 1990s. Among the issues analyzed by some of the...

This paper investigates the effects of exchange rate uncertainty on the volume and variability of trade flows. Employing a signal extraction framework, we show that the direction and magnitude of importers' and exporters' optimal trading activities depend upon the source of the uncertainty (general economic shocks, fundamental factors driving the e...

A number of previous studies have questioned the dominant role of Germany within the EMS. These conclusions are often based on empirical findings that interest rates of member countries of the EMS are not affected by German interest rates, even in the long run. In this study we establish evidence to the contrary by demonstrating that intra-EMS inte...

This paper models the dynamics of adjustment to long-run purchasing power parity (PPP) over the post-Bretton Woods period in a nonlinear framework consistent with the presence of frictions in international trade. We estimate exponential smooth transition autoregressive (ESTAR) models of deviations from PPP, which are obtained using the Johansen coi...

Markov regime-switching and sine-wave models have been used to capture the apparent wave-like behavior in aggregate U.S. merger and acquisition (M and A) activity. In this paper we offer an alternative characterization of the dynamic structure in M and A activity as a strongly dependent or long-memory process.

This paper investigates the effects of permanent and transitory components of the exchange rate onf firms' profitability under imperfect information. Utilizing a signal extraction framework, we show that the variances of these components of the exchange rate process will have indeterminate effects on the firm's growth rate of profits, but will have...

Under conditions of risk neutrality and rational expectations in the foreign exchange market, there should be a one-to-one relationship between the forward rate and the corresponding future spot rate. However, cointegration-based tests of the unbiasedness hypothesis of the forward rate have produced mixed findings. In order to exploit significant c...

We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchm...

We test for fractional dynamics in inflation rates based on the consumer price index (CPI) for 27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics wit...

This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rates in the post-Bretton Woods era. We allow for (i) fractional integration and (ii) a double mean shift in the real exchange rate process. These methods, applied to CPI-based rates for 17 countries and WPI-based rates for 12 countries, demons...

We test for fractional dynamics in US monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits, s...

The hedging effectiveness of dynamic strategies is compared with static (traditional) ones using futures contracts for the five leading currencies. The traditional hedging model assumes time invariance in the joint distribution of spot and futures price changes thus leading to a constant optimal hedge ratio (OHR). However, if this time-invariance a...

This paper tests for fractional roots in the futures prices for selected commodities, foreign currencies, and stock indexes. The fractional testing method is the spectral regression method suggested by Geweke and Porter-Hudak (1983). The empirical results suggest the presence of a fractional exponent in the differencing process for several commodit...

This paper contributes empirically to our understanding of informed traders. It analyzes traders' characteristics in a foreign exchange electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is co...

Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for fractional dynamic behavior in a number of important Japanese financial time series: spot exchange rates, forward exchange rates, stock prices, currency forward premia, Euroyen deposit rates, and the Euroyen term premium. Stochasti...

This paper investigates the existence of a deterministic nonlinear structure in the stock returns of the Athens Stock Exchange (Greece), an emerging capital market. The analysis utilizes the concepts of correlation dimension and Kolmogorov entropy, and it also includes a forecasting experiment. Application of the BDS statistical test to raw and fil...

We test for stochastic long-memory behavior in the returns series of currency rates for eighteen industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also carried out to analyze the temporal stability of the longmemory parameter. Contrary to the findings of some previous studies alluding to the presenc...

We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for market efficiency suffer from temporal instability. We improve upon their research by i) including a drift term in the vector error correction model (VECM) in the Johansen procedure, ii) correcting the likelihood ratio test statistic for finite-sample bias, and...

These procedures, written for RATS version 4.2/4.3, calculate the GPH (Geweke & Porter-Hudak, 1983 J. Time Series Analysis) spectral regression estimator, the Robinson Gaussian semiparametric estimator (1995 Annals of Statistics) and the Robinson average periodogram long memory estimator (1994 Annals of Statistics) for fractional order of integrati...

We test for long memory in 3- and 6-month daily returns series on Eurocurrency deposits denominated in Japanese yen (Euroyen). The fractional differencing parameter is estimated using the spectral regression method. The conflicting evidence obtained from the application of tests against a unit root as well as tests against stationarity provides the...

We employ a nonlinear, nonparametric method to model the stochastic behavior of changes in the 90-day U.S. T-bill rate. The estimation technique is locally weighted regression (LWR), a nearest-neighbor method, and the forecasting criteria are the root mean square error (RMSE) and mean absolute deviation (MAD) measures. We compare the forecasting pe...

This paper investigates the presence of fractal dynamics in stock returns. We improve upon existing literature in two ways: i) instead of rescaled-range analysis, we use the more efficient semi- nonparametric procedure suggested by Geweke and Porter-Hudak (GPH, 1983), and ii) to ensure robustness, we apply the GPH test to a variety of aggregate and...

these procedures generate multi-period-ahead dynamic forecasts of timeseries with a fractionally differenced representation (ARFIMA). fdfc.src forecasts an ARFIMA(0,d,0) series for specified d. fdarfc.src forecasts an ARFIMA(p,d,0) series for specified p and d: that is, a series with an AR(p) fractional representation. fdma1fc.src forecasts an ARFI...

We test for fractional dynamics in U.S. monetary aggregates and their various components. Contradictory inference obtained from several unit root tests is suggestive of the appropriateness of a fractional differencing model for the monetary series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing p...

This paper investigates the presence of fractal dynamics in stock returns. We improve upon existing literature in two ways: i) instead of rescaled-range analysis, we use the more efficient semi-nonparametric procedure suggested by Geweke and Porter-Hudak (GPH, 1983), and ii) to ensure robustness, we apply the GPH test to a variety of aggregate and...

We employ a nonlinear, nonparametric method to model the stochastic behavior of changes in several short and long term U.S. interest rates. We apply a nonlinear autoregression to the series using the locally weighted regression (LWR) estimation method, a nearest-neighbor method, and evaluate the forecasting performance with a measure of root mean s...

We employ a nonlinear, nonparametric method to model the stochastic behavior of changes in several short and long term U.S. interest rates. We apply a nonlinear autoregression to the series using the locally weighted regression (LWR) estimation method, a nearest-neighbor method, and evaluate the forecasting performance with a measure of root mean s...

The long-run saving-investment correlation for the 24 OECD countries is re-examined using the Johansen procedure. It is found that saving and investment rates are not correlated in the long run for the majority of OECD countries. In the countries where cointegration is found, the Gonzalo-Granger common factor analysis suggests that saving is the dr...

We employ a nonlinear, nonparametric method to model the stochastic behavior of changes in the 90-day U.S. T-bill rate. The estimation technique is locally weighted regression (LWR), a nearest-neighbor method, and the forecasting criteria are the root mean square error (RMSE) and mean absolute deviation (MAD). We compare the forecasting performance...

DeGennaro, Kunkel, and Lee (1994) studied the long run dynamics of a system of long term interest rates of five industrialized countries by means of sophisticated cointegration methods. They found little evidence in support of the cointegration hypothesis, thus concluding that a separate set of fundamentals drives the dynamics of each of the indivi...

Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign curr...

We investigate the low frequency properties of three- and six- month rates for Eurocurrency deposits denominated in eight major currencies with specific emphasis on fractional dynamics. Using the fractional integration testing procedure suggested by Geweke and Porter-Hudak (1983), we find that several of the Eurocurrency deposit rates are fractiona...

We test for fractional dynamics in CPI-based inflation rates for twenty-seven countries and WPI-based inflation rates for twenty-two countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics with long-memory features is found in both CPI...

The high correlation between domestic saving and investment rates in cross country regressions has been interpreted by some authors as evidence that world capital markets are not integrated. Our paper reexamines the long-run saving investment relationship across OECD countries using co integration methods. This approach enables us to provide eviden...

Under conditions of risk neutrality and rational expectations in the foreign exchange market, there should be a one-to-one relationship between the forward rate and the corresponding future spot rate. However, cointegration-based tests of the unbiasedness hypothesis of the forward rate have produced mixed findings. In order to exploit significant c...

The integration order of the currency risk premium depends upon the integration order of the forward exchange premium, with direct implications for foreign exchange market efficiency. However, empirical evidence on the stochastic properties of the forward premium series has been inconclusive. To achieve greater statistical power, we test for the pr...

Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign curr...